Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.1172 |
| Annualized Std Dev | 0.3061 |
| Annualized Sharpe (Rf=0%) | -0.3829 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3486.0000 |
| NAs | 1.0000 |
| Minimum | -0.2331 |
| Quartile 1 | -0.0057 |
| Median | 0.0007 |
| Arithmetic Mean | -0.0003 |
| Geometric Mean | -0.0005 |
| Quartile 3 | 0.0060 |
| Maximum | 0.2082 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0009 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0004 |
| Stdev | 0.0193 |
| Skewness | -0.3035 |
| Kurtosis | 24.3848 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0140 |
| Gain Deviation | 0.0152 |
| Loss Deviation | 0.0171 |
| Downside Deviation (MAR=210%) | 0.0183 |
| Downside Deviation (Rf=0%) | 0.0141 |
| Downside Deviation (0%) | 0.0141 |
| Maximum Drawdown | 0.9291 |
| Historical VaR (95%) | -0.0274 |
| Historical ES (95%) | -0.0480 |
| Modified VaR (95%) | -0.0242 |
| Modified ES (95%) | -0.0242 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-06 | 2020-04-03 | NA | -0.9291 | 3468 | 3226 | NA |
| 2007-05-10 | 2007-05-18 | 2007-05-31 | -0.0384 | 14 | 7 | 7 |
| 2007-05-07 | 2007-05-08 | 2007-05-09 | -0.0038 | 3 | 2 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | 0.2 | -3.7 | -6.1 | 2.5 | 2.5 | -3.1 | 1.6 | 0.2 | -5.9 |
| 2008 | 3.8 | -2.4 | 6.6 | 3.6 | -0.4 | -0.8 | 2.1 | 0.5 | -0.6 | 4.8 | -11.8 | 3.2 | 7.5 |
| 2009 | -1 | -0.8 | 1 | -0.9 | 1.5 | 1.6 | 0.2 | -2.4 | -2.4 | -2.6 | -0.5 | -0.2 | -6.3 |
| 2010 | 0.1 | 0.2 | 0.5 | -1.2 | -1.3 | -0.1 | 0.1 | 1.8 | 0 | -0.4 | 0.7 | -0.5 | -0.3 |
| 2011 | 1.2 | -1.2 | 0 | 0.5 | -1.6 | 1.6 | 1.8 | -3.2 | -1.8 | -2.9 | -0.2 | -0.4 | -6.2 |
| 2012 | 0.4 | -0.1 | 0.1 | 0.1 | -1.4 | 0.8 | -0.4 | 0.5 | 0.1 | -0.1 | 0.4 | 0.3 | 0.8 |
| 2013 | 0.3 | -0.2 | -0.4 | -1.1 | -2.2 | -0.2 | -1.7 | -0.6 | 1.1 | 0.7 | 0 | 0.9 | -3.5 |
| 2014 | 0.7 | 0.5 | 0.6 | 0.3 | 0.6 | -0.6 | 0.2 | 0.3 | 0.7 | 0.4 | -0.6 | -1.3 | 1.8 |
| 2015 | -0.3 | 0.8 | 0.3 | 0.4 | 0.2 | 0.9 | 0.1 | -1 | 0.2 | -0.2 | 0 | -0.2 | 1.2 |
| 2016 | -0.7 | -0.1 | -0.3 | 0.2 | 0.8 | -0.2 | 0.5 | -0.4 | 0.2 | -1.8 | -1.5 | -0.6 | -3.9 |
| 2017 | 0.2 | -0.3 | -0.2 | 0.9 | 1 | -0.3 | 0.5 | 0.4 | -0.1 | 0.4 | 0.3 | -1 | 1.7 |
| 2018 | 0.1 | 0.3 | 0.9 | 0.1 | 0 | -0.5 | -0.7 | -0.3 | -0.3 | -0.3 | -0.2 | -1.1 | -2.1 |
| 2019 | -0.3 | -0.3 | 0.6 | -0.4 | -1 | -0.1 | -0.6 | -0.1 | -1.1 | 0.3 | 0.3 | 0 | -2.7 |
| 2020 | -0.4 | -2.9 | -12.3 | -2.6 | 3.3 | -1.5 | -0.5 | 0.6 | 1.1 | -0.9 | 1.1 | 0.6 | -14.3 |
| 2021 | 1.8 | 1.5 | 1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-05-04 201. SPY 151. 0.0038 0.00930 0.0491 0.0422 0.153 0.346 0.388 GLD 68.2 0.0104 0.00930
2 2007-05-07 201. SPY 151. 0.0002 0.0179 0.0465 0.0421 0.149 0.347 0.403 GLD 68.2 0.0009 0.0173
3 2007-05-08 200 SPY 151. -0.0013 0.014 0.0437 0.0404 0.138 0.337 0.429 GLD 67.9 -0.0054 0.0178
4 2007-05-09 201. SPY 151. 0.0027 0.0108 0.0453 0.041 0.142 0.352 0.438 GLD 67.4 -0.0063 0.0119
5 2007-05-10 199. SPY 150. -0.0105 -0.0051 0.0386 0.0314 0.128 0.360 0.372 GLD 66 -0.0215 -0.0221
6 2007-05-11 200. SPY 151. 0.0086 -0.0004 0.0429 0.0481 0.138 0.386 0.400 GLD 66.4 0.0068 -0.0255
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
